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Yes, this is correct, no JPG preview is created for an uploaded PDF. If you click on the PDF icon in the preview pane, you will see a preview version in the annotation window. This would be a nice enhancement.

It is possible to change how PDF files are handled using a contribution <extension target="org.nuxeo.ecm.platform.filemanager.service.FileManagerService" point="plugins">. PDFs could be set to be handled by the Imageplugin by removing the PDF filter from the OfficeFileImporter and adding to the ImagePlugin definition.

However, having not tried this, I don't know the side-effects or whether a JPG image would be properly rendered from a PDF file.

A better approach would be to extend the OfficeFileImporter to generate JPG preview files if the file type is PDF. This is more complex but would allow PDFs to still be treated/classifed as Office Documents.